Barclays 2008 Annual Report Download - page 120
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 |
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Risk management
Credit risk management
Barclays Capital credit market exposures
118 Barclays PLC Annual Report 2008 |Find out more at www.barclays.com/annualreport08
The notional value of the assets split by the current rating of the underlying asset is shown below. All of the underlying assets had investment grade
ratings as at 31st December 2008.
Rating of Underlying Asset – As at 31.12.08
Non-
Investment
AAA/AA A/BBB Grade Total
£m £m £m £m
2005 and earlier 6,037 ––6,037
2006 5,894 ––5,894
2007 and 2008 6,295 ––6,295
CLOs 18,226 ––18,226
2005 and earlier 862 ––862
2006 535 ––535
2007 and 2008 785 467 – 1,252
Other 2,182 467 – 2,649
Total 20,408 467 – 20,875
Own credit
The carrying amount of issued notes that are designated under the IAS 39 fair value option is adjusted to reflect the effect of changes in own credit
spreads. The resulting gain or loss is recognised in the income statement.
At 31st December 2008, the own credit adjustment arose from the fair valuation of £54.5bn of Barclays Capital structured notes (31st December 2007:
£40.7bn). The widening of Barclays credit spreads in the year affected the fair value of these notes and as a result revaluation gains of £1,663m were
recognised in trading income (2007: £658m).